Estimation and Inference for Distribution Functions and Quantile Functions in Endogenous Treatment Effect Models

Yu-Chin Hsu, Robert Lieli and Tsung-Chih Lai ()
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Tsung-Chih Lai: Department of Economics, National Taiwan University

No 15-A003, IEAS Working Paper : academic research from Institute of Economics, Academia Sinica, Taipei, Taiwan

Abstract: We propose a new monotonizing method to obtain estimators for the distribution functions of potential outcomes among the group of compliers in an endogenous treatment effect model that are monotonically increasing and bounded between zero and one. Corresponding quantile function estimators are obtain by applying the inverse map to the CDF estimators. We show that both these estimators converge weakly to zero mean Gaussian processes. A simulation method is proposed to approximate the limiting processes for uniform inference. A Monte Carlo simulation and an application addressing the effect of fertility on family income illustrate the usefulness of the results. JEL Classification: C21, C26

Keywords: distribution function; quantile function; treatment effects; instrumental variables; inverse probability weighted estimator (search for similar items in EconPapers)
Pages: 48 pages
Date: 2015-08
New Economics Papers: this item is included in nep-ecm and nep-ger
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Citations: View citations in EconPapers (5)

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